No module named wheel error while importing wheel from setuptools, in Tensorflow compilation

While compiling TensorFlow from source, you might want to build a .whl file with the build_pip_package script generated by bazel. If you see an error message like this:

File "/home/twang/anaconda2/envs/tensorflow/lib/python2.7/site-packages/setuptools/package_index.py", line 31, in <module>
     from setuptools.wheel import Wheel
ImportError: No module named wheel

It is most likely your setuptools is not current. In particular, setuptools installed by conda by default has version 36.5, which does not support wheel. To upgrade setuptools to 38.4 which supports wheel, run:

conda install -c conda-forge setuptools